课程名称：Actuarial and Financial Models-I （精算与金融模型）
主讲教授：Jan Dhaene (达呐) 比利时鲁汶大学
主讲教授简介：
Jan Dhaene，比利时鲁汶大学终身教授，鲁汶大学保险精算研究中心主任，金融与精算工程硕士项目主管，保险公司精算应用及养老金处主任。国际顶级精算期刊“Insurance: Mathematics & Economics副主编、“ASTIN Bulletin”期刊编委、“Journal of Computational and Applied Mathematics”期刊编委。比利时精算师协会(Institute of Actuaries of Belgium)和国际精算师协会(International Actuarial Association)的会员。
个人主页：
https://www.econ.kuleuven.be/eng/fetew/medewerker/userpage.aspx?PID=986
时间: 2016年1月13日 18:00-21:00
2016年1月14日 18:00-21:00
地点： 威斯尼斯人（学院南路校区）主教楼214
主办单位：中国精算研究院
课程简介：
Actuarial and Financial Models)
Professor: Jan Dhaene
Email: jan.dhaene@kuleuven.be
Aims:
The purpose of this course is to introduce master and PhD students to some current research topics in actuarial science and/or financial mathematics. After following this course, students should be more familiar with current actuarial and financial research papers.
Prerequisite:
Given the quantitative nature of this course, a sound mathematical background and sufficient knowledge of probability theory and calculus is indispensable. Students must at least have mastered the topics, concepts and derivations covered in the following international standard textbooks (or similar textbooks at undergraduate level):
- Ross, S. (2009) A First Course in Probability (8th edition), Prentice Hall.
- Barnett, R., Ziegler, M., Byleen, K. (2014). Calculus for Business, Economics, Life Sciences and Social Sciences (13th edition), Pearson.
Furthermore, a profound knowledge of the standard models and techniques of actuarial science and financial mathematics is required.
Contents:
In the last couple of decades financial and actuarial research has made an enormous progress. In this course some (overview-) papers on recently developed financial - actuarial models and techniques will be studied. Attention is paid to the underlying assumptions of the models and how to evaluate their applicability in practice. The recently developed techniques and models that will be considered are not only attractive from a theoretical point of view, but they are also effective in solving finance and insurance problems occurring in the daily practice.
Possible research topics:
Risk measurement,
Optimal portfolio selection,
Capital allocation,
Market consistent valuation of insurance liabilities,
Model-free approaches to option pricing and hedging,
Measuring systemic risk in financial markets..
Teaching activities:
10 lectures of 3 hours.
Course Material:
A (non-exclusive list) of possible actuarial-financial (overview) papers:
- The concept of comonotonicity in actuarial science and finance: theory.
J. Dhaene, M. Denuit, M.J. Goovaerts, R. Kaas & D. Vyncke (2002). Insurance: Mathematics & Economics, 31 (1), 3-33.
- The concept of comonotonicity in actuarial science and finance: applications.
J. Dhaene, M. Denuit, M.J. Goovaerts, R. Kaas & D. Vyncke (2002). Insurance: Mathematics & Economics, 31 (2), 133-161.
- Risk measures and comonotonicity: a review.
J. Dhaene, S. Vanduffel, M. Goovaerts, R. Kaas, D. Vyncke & Q.Tang. (2006). Stochastic Models, 22, 573-606.
- Optimal capital allocation principles.
J. Dhaene, A. Tsanakas, E. Valdez & S. Vanduffel (2012). Journal of Risk and Insurance, 79(1), 1-28.
- Index options: a model-free approach.
D. Linders, J. Dhaene, H. Hounnon & M. Vanmaele (2012). Research report AFI-1265, FEB, KU Leuven.
- The multivariate Black & Scholes market: conditions for completeness and no-arbitrage.
J. Dhaene, A. Kukush & D. Linders (2013). Theory of Probability and Mathematical Statistics, No. 88, 2013, 1-14.
- On the (in-)dependence between financial and actuarial risks.
J. Dhaene, A. Kukush, E. Luciano, W. Schoutens & B. Stassen (2013). Insurance: Mathematics and Economics, 52(3), 522-531.
- Option prices and model-free measurement of implied herd behavior in stock markets.
D. Linders, J. Dhaene & W. Schoutens (2015). Research report AFI-1597 FEB, KU Leuven.
- Market-consistent valuation of insurance liabilities.
J. Dhaene, B. Stassen, M. Vellekoop. Working paper.
Exam:
Written exam (open book).
[编辑]：孙颖
